Edit Profile (opens in new tab) Bayraktar, Erhan Compute Distance To: Compute Author ID: bayraktar.erhan Published as: Bayraktar, Erhan; Bayraktar, E. Homepage: https://sites.lsa.umich.edu/erhan/ External Links: MGP · ORCID · Wikidata · arXiv · ResearchGate · Math-Net.Ru · dblp Documents Indexed: 152 Publications since 2004 Co-Authors: 77 Co-Authors with 147 Joint Publications 2,304 Co-Co-Authors all top 5 Co-Authors 3 single-authored 21 Young, Virginia R. 12 Zhou, Zhou 9 Poor, Harold Vincent 9 Yao, Song 8 Zhang, Xin 7 Xing, Hao 6 Cohen, Asaf 6 Zhang, Yuchong 5 Egami, Masahiko 5 Ludkovski, Michael 4 Angoshtari, Bahman 4 Dolinsky, Yan 4 Huang, Yu-Jui 4 Lai, Lifeng 4 Promislov, S. David 3 Dayanik, Savas 3 Ekren, Ibrahim 3 Guo, Jia 3 Karatzas, Ioannis 3 Kravitz, Ross 3 Li, Jiaqi 3 Pham, Huyên 3 Sayit, Hasanjan 3 Sîrbu, Mihai 3 Song, Qingshuo 3 Wu, Ruoyu 2 Azimzadeh, Parsiad 2 Budhiraja, Amarjit S. 2 Cecchin, Alekos 2 Chen, Li 2 Cosso, Andrea 2 Delarue, François 2 Dolinskyi, Leonid 2 Kardaras, Constantinos 2 Keller, Christian 2 Kyprianou, Andreas E. 2 Yamazaki, Kazutoshi 2 Yu, Xiang 1 Bäuerle, Nicole 1 Belak, Christoph 1 Bernhardt, Thomas 1 Burzoni, Matteo 1 Chakraborty, Suman 1 Christensen, Soren 1 Cossc, Andrea 1 Cox, Alexander Matthew Gordon 1 Cvitanić, Jakša 1 Czichowsky, Christoph 1 Ekström, Erik 1 Emmerling, Thomas J. 1 Fahim, Arash 1 Fellouris, Georgios 1 Geng, Jun 1 Guo, Gaoyue 1 Horst, Ulrich 1 Hu, Xueying 1 Labahn, George 1 Liang, Zhibin 1 Menaldi, Jose-Luis 1 Milevsky, Moshe Arye 1 Miller, Christopher W. 1 Moore, Kristen S. 1 Munk, Alexander 1 Nadtochiy, Sergey 1 Pakkanen, Mikko S. 1 Qiu, Jinniao 1 Rao, Raghuveer M. 1 Seifried, Frank Thomas 1 Sezer, Semih Onur 1 Sircar, K. Ronnie 1 Sircar, Ronnie 1 Stoev, Yavor I. 1 Wang, Gu 1 Wang, Zhenhua 1 Yang, Jie 1 Zhang, Jingjie 1 Zhang, Yili all top 5 Serials 21 SIAM Journal on Control and Optimization 13 Stochastic Processes and their Applications 11 The Annals of Applied Probability 10 SIAM Journal on Financial Mathematics 9 Insurance Mathematics & Economics 8 Mathematics of Operations Research 7 Proceedings of the American Mathematical Society 7 Mathematical Finance 6 North American Actuarial Journal 5 Applied Mathematics and Optimization 5 Finance and Stochastics 5 Mathematical Methods of Operations Research 4 IEEE Transactions on Information Theory 4 International Journal of Theoretical and Applied Finance 3 Applied Mathematical Finance 3 Stochastics 2 Stochastic Analysis and Applications 2 Sequential Analysis 2 Annals of Operations Research 2 Electronic Communications in Probability 2 Quantitative Finance 2 Mathematics and Financial Economics 2 Annals of Finance 1 Theory of Probability and its Applications 1 Illinois Journal of Mathematics 1 Journal of Applied Probability 1 Journal of Functional Analysis 1 Journal of Optimization Theory and Applications 1 Transactions of the American Mathematical Society 1 Systems & Control Letters 1 Numerical Methods for Partial Differential Equations 1 Journal of Economic Dynamics & Control 1 SIAM Journal on Matrix Analysis and Applications 1 Communications in Partial Differential Equations 1 Journal de Mathématiques Pures et Appliquées. Neuvième Série 1 SIAM Journal on Mathematical Analysis 1 The Electronic Journal of Combinatorics 1 Bernoulli 1 Journal of Machine Learning Research (JMLR) 1 ASTIN Bulletin all top 5 Fields 101 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 99 Probability theory and stochastic processes (60-XX) 44 Systems theory; control (93-XX) 32 Calculus of variations and optimal control; optimization (49-XX) 24 Partial differential equations (35-XX) 15 Statistics (62-XX) 7 Numerical analysis (65-XX) 6 Operations research, mathematical programming (90-XX) 4 Combinatorics (05-XX) 3 Integral equations (45-XX) 3 Operator theory (47-XX) 3 Computer science (68-XX) 3 Information and communication theory, circuits (94-XX) 1 Mathematical logic and foundations (03-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 130 Publications have been cited 1,261 times in 810 Documents Cited by ▼ Year ▼ On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 42 2013 Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161Liang, Zhibin; Bayraktar, Erhan 40 2014 Liquidation in limit order books with controlled intensity. Zbl 1314.91247Bayraktar, Erhan; Ludkovski, Michael 36 2014 Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028Bayraktar, Erhan; Zhang, Yuchong 34 2015 Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056Bayraktar, Erhan; Sîrbu, Mihai 33 2012 Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities. Zbl 1170.91406Bayraktar, Erhan; Milevsky, Moshe A.; Promislow, S. David; Young, Virginia R. 33 2009 Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049Bayraktar, Erhan; Egami, Masahiko 32 2008 Optimal dividends in the dual model under transaction costs. Zbl 1294.91071Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 29 2014 Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019Bayraktar, Erhan; Sîrbu, Mihai 29 2013 Adaptive Poisson disorder problem. Zbl 1104.62093Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 27 2006 Analysis of a finite state many player game using its master equation. Zbl 1416.91013Bayraktar, Erhan; Cohen, Asaf 26 2018 On the one-dimensional optimal switching problem. Zbl 1221.60058Bayraktar, Erhan; Egami, Masahiko 26 2010 Optimal stopping for dynamic convex risk measures. Zbl 1259.60042Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song 26 2010 Minimizing the probability of lifetime ruin under borrowing constraints. Zbl 1119.91041Bayraktar, Erhan; Young, Virginia R. 26 2007 Optimal stopping for non-linear expectations. I. Zbl 1221.60059Bayraktar, Erhan; Yao, Song 24 2011 Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 23 2018 Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080Bayraktar, Erhan; Sîrbu, Mihai 22 2014 Optimal stopping for non-linear expectations. II. Zbl 1221.60060Bayraktar, Erhan; Yao, Song 21 2011 On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541Bayraktar, Erhan; Zhou, Zhou 21 2017 The standard Poisson disorder problem revisited. Zbl 1070.62062Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 21 2005 On the multidimensional controller-and-stopper games. Zbl 1268.49045Bayraktar, Erhan; Huang, Yu-Jui 21 2013 Optimal trade execution in illiquid markets. Zbl 1233.91335Bayraktar, Erhan; Ludkovski, Michael 20 2011 Correspondence between lifetime minimum wealth and utility of consumption. Zbl 1144.91015Bayraktar, Erhan; Young, Virginia R. 18 2007 Pricing Asian options for jump diffusion. Zbl 1229.91332Bayraktar, Erhan; Xing, Hao 17 2011 Hedging life insurance with pure endowments. Zbl 1183.91067Bayraktar, Erhan; Young, Virginia R. 15 2007 On the impulse control of jump diffusions. Zbl 1272.49073Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis 15 2013 Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François 15 2021 Poisson disorder problem with exponential penalty for delay. Zbl 1278.62132Bayraktar, Erhan; Dayanik, Savas 15 2006 Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256Bayraktar, Erhan; Young, Virginia 15 2008 Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094Bayraktar, Erhan; Zhang, Yuchong 14 2015 Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328Bayraktar, Erhan; Keller, Christian 14 2018 Proving regularity of the minimal probability of ruin via a game of stopping and control. Zbl 1303.91196Bayraktar, Erhan; Young, Virginia R. 14 2011 Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie 13 2004 On the continuity of stochastic exit time control problems. Zbl 1211.60012Bayraktar, Erhan; Song, Qingshuo; Yang, Jie 13 2011 On hedging American options under model uncertainty. Zbl 1315.91060Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou 12 2015 Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082Bayraktar, Erhan; Yao, Song 12 2012 Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George 11 2018 Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158Bayraktar, Erhan; Zhang, Yuchong 11 2016 Optimal investment to minimize the probability of drawdown. Zbl 1367.91162Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 11 2016 The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095Bayraktar, Erhan; Egami, Masahiko 11 2007 Valuation equations for stochastic volatility models. Zbl 1255.91125Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 On the robust optimal stopping problem. Zbl 1310.60040Bayraktar, Erhan; Yao, Song 10 2014 Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 10 2016 Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 10 2016 Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085Bayraktar, Erhan; Yao, Song 10 2015 Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062Bayraktar, Erhan; Ludkovski, Michael 10 2009 A limit theorem for financial markets with inert investors. Zbl 1276.91055Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie 10 2006 Optimally investing to reach a bequest goal. Zbl 1371.91149Bayraktar, Erhan; Young, Virginia R. 9 2016 A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104Bäuerle, Nicole; Bayraktar, Erhan 9 2014 Inventory management with partially observed nonstationary demand. Zbl 1194.90008Bayraktar, Erhan; Ludkovski, Michael 9 2010 Optimal investment strategy to minimize occupation time. Zbl 1233.91235Bayraktar, Erhan; Young, Virginia R. 9 2010 On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012Bayraktar, Erhan; Xing, Hao 9 2010 Distribution-constrained optimal stopping. Zbl 1411.91540Bayraktar, Erhan; Miller, Christopher W. 8 2019 A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082Bayraktar, Erhan; Yao, Song 8 2013 Quickest detection of a minimum of two Poisson disorder times. Zbl 1139.62043Bayraktar, Erhan; Poor, H. Vincent 8 2007 Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Zbl 1178.91189Bayraktar, Erhan; Xing, Hao 8 2009 Analysis of the optimal exercise boundary of American options for jump diffusions. Zbl 1188.91209Bayraktar, Erhan; Xing, Hao 8 2009 Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 7 2019 High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100Azimzadeh, Parsiad; Bayraktar, Erhan 7 2019 A proof of the smoothness of the finite time horizon American put option for jump diffusions. Zbl 1204.60033Bayraktar, Erhan 7 2009 An analysis of monotone follower problems for diffusion processes. Zbl 1217.93179Bayraktar, Erhan; Egami, Masahiko 6 2008 A unified framework for pricing credit and equity derivatives. Zbl 1229.91330Bayraktar, Erhan; Yang, Bo 6 2011 Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 6 2019 Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716Bayraktar, Erhan; Zhou, Zhou 6 2017 On the market viability under proportional transaction costs. Zbl 1411.91479Bayraktar, Erhan; Yu, Xiang 6 2018 A rank-based mean field game in the strong formulation. Zbl 1415.91050Bayraktar, Erhan; Zhang, Yuchong 6 2016 Continuity of utility maximization under weak convergence. Zbl 1461.91288Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 6 2020 Outperforming the market portfolio with a given probability. Zbl 1259.60072Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo 6 2012 No arbitrage conditions for simple trading strategies. Zbl 1233.91303Bayraktar, Erhan; Sayit, Hasanjan 6 2010 Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 5 2016 Stochastic Perron for stochastic target games. Zbl 1337.93100Bayraktar, Erhan; Li, Jiaqi 5 2016 Large tournament games. Zbl 1443.91035Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong 5 2019 Martingale optimal transport with stopping. Zbl 1405.60053Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor 5 2018 On the robust Dynkin game. Zbl 1371.60071Bayraktar, Erhan; Yao, Song 5 2017 Stochastic differential games in a non-Markovian setting. Zbl 1102.91012Bayraktar, Erhan; Poor, H. Vincent 5 2005 Purchasing life insurance to reach a bequest goal. Zbl 1304.91091Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 5 2014 Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061Bayraktar, Erhan; Kravitz, Ross 5 2013 A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method. Zbl 1425.91043Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf 4 2018 Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan 4 2020 On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160Bayraktar, Erhan 4 2011 Stochastic Perron for stochastic target problems. Zbl 1346.93394Bayraktar, Erhan; Li, Jiaqi 4 2016 Pricing options on defaultable stocks. Zbl 1142.91504Bayraktar, E. 4 2008 Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030Bayraktar, Erhan; Young, Virginia R. 4 2013 Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046Bayraktar, Erhan; Zhou, Zhou 4 2016 A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006Bayraktar, Erhan; Fahim, Arash 4 2014 On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120Bayraktar, Erhan; Zhou, Zhou 4 2014 Quickest detection with discretely controlled observations. Zbl 1309.62142Bayraktar, Erhan; Kravitz, Ross 4 2015 Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109Geng, Jun; Bayraktar, Erhan; Lai, Lifeng 4 2014 On non-uniqueness in mean field games. Zbl 1444.91025Bayraktar, Erhan; Zhang, Xin 4 2020 Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. 4 2011 Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187Bayraktar, Erhan; Lai, Lifeng 3 2015 Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078Bayraktar, Erhan; Yao, Song 3 2017 Arbitrage in fractal modulated Black-Scholes models when the volatility is stochastic. Zbl 1152.91482Bayraktar, Erhan; Poor, H. Vincent 3 2005 Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081Bayraktar, Erhan; Huang, Yu-Jui 3 2013 A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142Bayraktar, Erhan; Egami, Masahiko 3 2010 Online change detection for a Poisson process with a phase-type change-time prior distribution. Zbl 1162.62077Bayraktar, Erhan; Sezer, Semih 3 2009 Minimizing the lifetime shortfall or shortfall at death. Zbl 1162.91397Bayraktar, Erhan; Young, Virginia R. 3 2009 An \(\alpha\)-stable limit theorem under sublinear expectation. Zbl 1347.60006Bayraktar, Erhan; Munk, Alexander 2 2016 Risk sensitive control of the lifetime ruin problem. Zbl 1407.93429Bayraktar, Erhan; Cohen, Asaf 2 2018 Optimal investment and consumption under a habit-formation constraint. Zbl 1489.91230Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 1 2022 Stationarity and uniform in time convergence for the graphon particle system. Zbl 1494.60093Bayraktar, Erhan; Wu, Ruoyu 1 2022 Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François 15 2021 Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144Bayraktar, Erhan; Wu, Ruoyu 2 2021 Transport plans with domain constraints. Zbl 1470.60117Bayraktar, Erhan; Zhang, Xin; Zhou, Zhou 1 2021 Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios. Zbl 1476.91138Bayraktar, Erhan; Czichowsky, Christoph; Dolinskyi, Leonid; Dolinsky, Yan 1 2021 Continuity of utility maximization under weak convergence. Zbl 1461.91288Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 6 2020 Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan 4 2020 On non-uniqueness in mean field games. Zbl 1444.91025Bayraktar, Erhan; Zhang, Xin 4 2020 On the quasi-sure superhedging duality with frictions. Zbl 1433.91168Bayraktar, Erhan; Burzoni, Matteo 2 2020 On the adversarial robustness of robust estimators. Zbl 1446.62103Lai, Lifeng; Bayraktar, Erhan 1 2020 Distribution-constrained optimal stopping. Zbl 1411.91540Bayraktar, Erhan; Miller, Christopher W. 8 2019 Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 7 2019 High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100Azimzadeh, Parsiad; Bayraktar, Erhan 7 2019 Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 6 2019 Large tournament games. Zbl 1443.91035Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong 5 2019 Controlled reflected SDEs and Neumann problem for backward SPDEs. Zbl 1439.60053Bayraktar, Erhan; Qiu, Jinniao 2 2019 Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Zbl 1410.91409Bayraktar, Erhan; Yu, Xiang 2 2019 Rate control under heavy traffic with strategic servers. Zbl 1409.60131Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf 2 2019 On the controller-stopper problems with controlled jumps. Zbl 1422.91081Bayraktar, Erhan; Li, Jiaqi 2 2019 No-arbitrage and hedging with liquid American options. Zbl 1433.91169Bayraktar, Erhan; Zhou, Zhou 1 2019 Analysis of a finite state many player game using its master equation. Zbl 1416.91013Bayraktar, Erhan; Cohen, Asaf 26 2018 Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 23 2018 Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328Bayraktar, Erhan; Keller, Christian 14 2018 Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George 11 2018 On the market viability under proportional transaction costs. Zbl 1411.91479Bayraktar, Erhan; Yu, Xiang 6 2018 Martingale optimal transport with stopping. Zbl 1405.60053Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor 5 2018 A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method. Zbl 1425.91043Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf 4 2018 Risk sensitive control of the lifetime ruin problem. Zbl 1407.93429Bayraktar, Erhan; Cohen, Asaf 2 2018 Solvability of the nonlinear Dirichlet problem with integro-differential operators. Zbl 1386.60234Bayraktar, Erhan; Song, Qingshuo 2 2018 Recombining tree approximations for optimal stopping for diffusions. Zbl 1394.60039Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 2 2018 Efficient Byzantine sequential change detection. Zbl 1395.94105Fellouris, Georgios; Bayraktar, Erhan; Lai, Lifeng 1 2018 On zero-sum optimal stopping games. Zbl 1404.49027Bayraktar, Erhan; Zhou, Zhou 1 2018 On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541Bayraktar, Erhan; Zhou, Zhou 21 2017 Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716Bayraktar, Erhan; Zhou, Zhou 6 2017 On the robust Dynkin game. Zbl 1371.60071Bayraktar, Erhan; Yao, Song 5 2017 Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078Bayraktar, Erhan; Yao, Song 3 2017 Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities. Zbl 1372.35169Bayraktar, Erhan; Cossc, Andrea; Pham, Huyên 2 2017 On an optimal stopping problem of an insider. Zbl 1386.60153Bayraktar, E.; Zhou, Zh. 1 2017 Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158Bayraktar, Erhan; Zhang, Yuchong 11 2016 Optimal investment to minimize the probability of drawdown. Zbl 1367.91162Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 11 2016 Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 10 2016 Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 10 2016 Optimally investing to reach a bequest goal. Zbl 1371.91149Bayraktar, Erhan; Young, Virginia R. 9 2016 A rank-based mean field game in the strong formulation. Zbl 1415.91050Bayraktar, Erhan; Zhang, Yuchong 6 2016 Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 5 2016 Stochastic Perron for stochastic target games. Zbl 1337.93100Bayraktar, Erhan; Li, Jiaqi 5 2016 Stochastic Perron for stochastic target problems. Zbl 1346.93394Bayraktar, Erhan; Li, Jiaqi 4 2016 Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046Bayraktar, Erhan; Zhou, Zhou 4 2016 An \(\alpha\)-stable limit theorem under sublinear expectation. Zbl 1347.60006Bayraktar, Erhan; Munk, Alexander 2 2016 On a stopping game in continuous time. Zbl 1345.60037Bayraktar, Erhan; Zhou, Zhou 1 2016 Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028Bayraktar, Erhan; Zhang, Yuchong 34 2015 Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094Bayraktar, Erhan; Zhang, Yuchong 14 2015 On hedging American options under model uncertainty. Zbl 1315.91060Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou 12 2015 Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085Bayraktar, Erhan; Yao, Song 10 2015 Quickest detection with discretely controlled observations. Zbl 1309.62142Bayraktar, Erhan; Kravitz, Ross 4 2015 Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187Bayraktar, Erhan; Lai, Lifeng 3 2015 Weak reflection principle for Lévy processes. Zbl 1330.60064Bayraktar, Erhan; Nadtochiy, Sergey 2 2015 Purchasing term life insurance to reach a bequest goal: time-dependent case. Zbl 1414.91162Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 1 2015 Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161Liang, Zhibin; Bayraktar, Erhan 40 2014 Liquidation in limit order books with controlled intensity. Zbl 1314.91247Bayraktar, Erhan; Ludkovski, Michael 36 2014 Optimal dividends in the dual model under transaction costs. Zbl 1294.91071Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 29 2014 Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080Bayraktar, Erhan; Sîrbu, Mihai 22 2014 On the robust optimal stopping problem. Zbl 1310.60040Bayraktar, Erhan; Yao, Song 10 2014 A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104Bäuerle, Nicole; Bayraktar, Erhan 9 2014 Purchasing life insurance to reach a bequest goal. Zbl 1304.91091Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 5 2014 A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006Bayraktar, Erhan; Fahim, Arash 4 2014 On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120Bayraktar, Erhan; Zhou, Zhou 4 2014 Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109Geng, Jun; Bayraktar, Erhan; Lai, Lifeng 4 2014 Quickest search over Brownian channels. Zbl 1322.60043Bayraktar, Erhan; Kravitz, Ross 2 2014 On the existence of consistent price systems. Zbl 1291.91188Bayraktar, Erhan; Pakkanen, Mikko S.; Sayit, Hasanjan 1 2014 On optimal dividends in the dual model. Zbl 1283.91192Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 42 2013 Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019Bayraktar, Erhan; Sîrbu, Mihai 29 2013 On the multidimensional controller-and-stopper games. Zbl 1268.49045Bayraktar, Erhan; Huang, Yu-Jui 21 2013 On the impulse control of jump diffusions. Zbl 1272.49073Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis 15 2013 A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082Bayraktar, Erhan; Yao, Song 8 2013 Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061Bayraktar, Erhan; Kravitz, Ross 5 2013 Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030Bayraktar, Erhan; Young, Virginia R. 4 2013 Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081Bayraktar, Erhan; Huang, Yu-Jui 3 2013 Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056Bayraktar, Erhan; Sîrbu, Mihai 33 2012 Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082Bayraktar, Erhan; Yao, Song 12 2012 Valuation equations for stochastic volatility models. Zbl 1255.91125Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 Outperforming the market portfolio with a given probability. Zbl 1259.60072Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo 6 2012 Regularity of the optimal stopping problem for jump diffusions. Zbl 1255.60068Bayraktar, Erhan; Xing, Hao 1 2012 Optimal stopping for non-linear expectations. I. Zbl 1221.60059Bayraktar, Erhan; Yao, Song 24 2011 Optimal stopping for non-linear expectations. II. Zbl 1221.60060Bayraktar, Erhan; Yao, Song 21 2011 Optimal trade execution in illiquid markets. Zbl 1233.91335Bayraktar, Erhan; Ludkovski, Michael 20 2011 Pricing Asian options for jump diffusion. Zbl 1229.91332Bayraktar, Erhan; Xing, Hao 17 2011 Proving regularity of the minimal probability of ruin via a game of stopping and control. Zbl 1303.91196Bayraktar, Erhan; Young, Virginia R. 14 2011 On the continuity of stochastic exit time control problems. Zbl 1211.60012Bayraktar, Erhan; Song, Qingshuo; Yang, Jie 13 2011 A unified framework for pricing credit and equity derivatives. Zbl 1229.91330Bayraktar, Erhan; Yang, Bo 6 2011 On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160Bayraktar, Erhan 4 2011 Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. 4 2011 On the one-dimensional optimal switching problem. Zbl 1221.60058Bayraktar, Erhan; Egami, Masahiko 26 2010 Optimal stopping for dynamic convex risk measures. Zbl 1259.60042Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song 26 2010 Inventory management with partially observed nonstationary demand. Zbl 1194.90008Bayraktar, Erhan; Ludkovski, Michael 9 2010 Optimal investment strategy to minimize occupation time. Zbl 1233.91235Bayraktar, Erhan; Young, Virginia R. 9 2010 On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012Bayraktar, Erhan; Xing, Hao 9 2010 No arbitrage conditions for simple trading strategies. Zbl 1233.91303Bayraktar, Erhan; Sayit, Hasanjan 6 2010 ...and 30 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,007 Authors 92 Bayraktar, Erhan 41 Young, Virginia R. 16 Yamazaki, Kazutoshi 14 Liang, Zhibin 14 Zhou, Zhou 12 Ludkovski, Michael 12 Pham, Huyên 11 Huang, Yu-Jui 10 Cohen, Asaf 10 Li, Danping 10 Pérez Garmendia, Jose Luis 9 Cartea, Álvaro 9 Ekström, Erik 9 Jaimungal, Sebastian 9 Nutz, Marcel 9 Yuen, Kam Chuen 8 Yao, Song 8 Zhang, Jianfeng 7 Avanzi, Benjamin 7 Gapeev, Pavel V. 7 Han, Xia 7 Jin, Zhuo 7 Karatzas, Ioannis 7 Liang, Xiaoqing 7 Possamaï, Dylan 7 Yin, Chuancun 6 Belak, Christoph 6 Carmona, René A. 6 Cecchin, Alekos 6 Dayanik, Savas 6 Delarue, François 6 Dolinsky, Yan 6 Kardaras, Constantinos 6 Lacker, Daniel 6 Liang, Gechun 6 Obloj, Jan K. 6 Poor, Harold Vincent 6 Rong, Ximin 6 Song, Qingshuo 6 Wang, Wenyuan 6 Xing, Hao 6 Yuan, Yu 6 Zhang, Yuchong 6 Zhao, Hui 6 Zhou, Chao 5 Bäuerle, Nicole 5 Blake, David 5 Christensen, Soren 5 Cox, Alexander Matthew Gordon 5 Ekren, Ibrahim 5 Fahim, Arash 5 Hamadene, Saïd 5 Li, Bin 5 Lindensjö, Kristoffer 5 Quenez, Marie-Claire 5 Sayit, Hasanjan 5 Seifried, Frank Thomas 5 Sezer, Semih Onur 5 Touzi, Nizar 5 Wong, Bernard 5 Yoshioka, Hidekazu 4 Averboukh, Yuriĭ Vladimirovich 4 Azcue, Pablo 4 Bo, Lijun 4 Bouchard, Bruno 4 Buonaguidi, Bruno 4 Carassus, Laurence 4 Cardaliaguet, Pierre 4 Ceci, Claudia 4 Chen, Ping 4 Cosso, Andrea 4 Czichowsky, Christoph 4 Egami, Masahiko 4 Gomoyunov, Mikhail Igorevich 4 Guéant, Olivier 4 Hernández-Hernández, Daniel 4 Kratschmer, Volker 4 Li, Dongchen 4 Moreno-Franco, Harold A. 4 Muler, Nora E. 4 Plaksin, Anton Romanovich 4 Promislov, S. David 4 Reisinger, Christoph 4 Sulem, Agnès 4 Suzuki, Kiyoshi 4 Tudor, Ciprian A. 4 Wang, Rongming 4 Zeng, Yan 4 Zhang, Caibin 4 Zhang, Xin 4 Zhao, Yongxia 4 Zhou, Ming 4 Zhu, Chao 3 Aurell, Alexander 3 Azimzadeh, Parsiad 3 Belomestny, Denis 3 Brachetta, Matteo 3 Burzoni, Matteo 3 Campi, Luciano 3 Che, Maolin ...and 907 more Authors all top 5 Cited in 141 Serials 72 Insurance Mathematics & Economics 61 SIAM Journal on Control and Optimization 48 Stochastic Processes and their Applications 38 The Annals of Applied Probability 33 Finance and Stochastics 30 Applied Mathematics and Optimization 29 SIAM Journal on Financial Mathematics 28 Mathematics of Operations Research 18 Mathematical Finance 17 Journal of Computational and Applied Mathematics 17 Mathematical Methods of Operations Research 17 International Journal of Theoretical and Applied Finance 15 Quantitative Finance 15 North American Actuarial Journal 14 Mathematics and Financial Economics 13 Journal of Optimization Theory and Applications 13 European Journal of Operational Research 13 Applied Mathematical Finance 13 Scandinavian Actuarial Journal 13 Stochastics 11 Advances in Applied Probability 11 ASTIN Bulletin 10 Automatica 10 Journal of Applied Probability 9 Annals of Operations Research 8 Sequential Analysis 8 Journal of Industrial and Management Optimization 7 The Annals of Probability 7 Communications in Statistics. Theory and Methods 7 Annals of Finance 6 Journal of Economic Dynamics & Control 6 Electronic Journal of Probability 5 Proceedings of the American Mathematical Society 5 Stochastic Analysis and Applications 5 Stochastic Models 4 Journal of Mathematical Analysis and Applications 4 Applied Mathematics and Computation 4 Dynamic Games and Applications 4 Probability, Uncertainty and Quantitative Risk 3 Transactions of the American Mathematical Society 3 Operations Research Letters 3 Acta Mathematicae Applicatae Sinica. English Series 3 Journal of Scientific Computing 3 Communications in Partial Differential Equations 3 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 3 Abstract and Applied Analysis 3 Methodology and Computing in Applied Probability 3 Stochastics and Dynamics 3 Asia-Pacific Financial Markets 3 Review of Derivatives Research 3 Statistics & Risk Modeling 2 Computers & Mathematics with Applications 2 Physica A 2 Chaos, Solitons and Fractals 2 The Annals of Statistics 2 Mathematics and Computers in Simulation 2 SIAM Journal on Numerical Analysis 2 Statistics & Probability Letters 2 Probability Theory and Related Fields 2 Journal of Theoretical Probability 2 Mathematical and Computer Modelling 2 European Journal of Applied Mathematics 2 Automation and Remote Control 2 Journal de Mathématiques Pures et Appliquées. Neuvième Série 2 NoDEA. Nonlinear Differential Equations and Applications 2 Electronic Communications in Probability 2 Bernoulli 2 Mathematical Problems in Engineering 2 The ANZIAM Journal 2 Discrete and Continuous Dynamical Systems. Series B 2 Journal of Systems Science and Complexity 2 Decisions in Economics and Finance 2 Journal of Applied Mathematics and Computing 2 East Asian Mathematical Journal 2 Science China. Mathematics 2 Mathematical Control and Related Fields 2 Stochastic Systems 2 Vestnik Udmurtskogo Universiteta. Matematika. Mekhanika. Komp’yuternye Nauki 2 Frontiers of Mathematical Finance 1 Archive for Rational Mechanics and Analysis 1 International Journal of Control 1 Journal of Engineering Mathematics 1 Calcolo 1 Demonstratio Mathematica 1 Illinois Journal of Mathematics 1 Journal of Differential Equations 1 Journal of Mathematical Economics 1 Journal of Statistical Planning and Inference 1 Memoirs of the American Mathematical Society 1 Operations Research 1 Systems & Control Letters 1 Journal of Time Series Analysis 1 Chinese Annals of Mathematics. Series B 1 Statistics 1 Revista Matemática Iberoamericana 1 Numerical Methods for Partial Differential Equations 1 Applied Mathematics Letters 1 MCSS. Mathematics of Control, Signals, and Systems 1 Numerical Algorithms 1 Games and Economic Behavior ...and 41 more Serials all top 5 Cited in 32 Fields 578 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 463 Probability theory and stochastic processes (60-XX) 276 Systems theory; control (93-XX) 159 Calculus of variations and optimal control; optimization (49-XX) 99 Statistics (62-XX) 88 Partial differential equations (35-XX) 80 Operations research, mathematical programming (90-XX) 50 Numerical analysis (65-XX) 12 Operator theory (47-XX) 10 Integral equations (45-XX) 7 Linear and multilinear algebra; matrix theory (15-XX) 7 Computer science (68-XX) 6 General and overarching topics; collections (00-XX) 6 Ordinary differential equations (34-XX) 6 Integral transforms, operational calculus (44-XX) 6 Biology and other natural sciences (92-XX) 5 Functional analysis (46-XX) 3 Real functions (26-XX) 3 Statistical mechanics, structure of matter (82-XX) 3 Information and communication theory, circuits (94-XX) 2 Combinatorics (05-XX) 2 Measure and integration (28-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 Mathematical logic and foundations (03-XX) 1 Field theory and polynomials (12-XX) 1 Functions of a complex variable (30-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Difference and functional equations (39-XX) 1 Approximations and expansions (41-XX) 1 Mechanics of particles and systems (70-XX) 1 Mathematics education (97-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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